Comptroller of the Currency
Administrator of National Banks

This bulletin briefly summarizes an interim final rule concerning the risk-based capital treatment for certain asset-backed commercial paper (ABCP) purchased by national banks pursuant to a special lending facility established by the Federal Reserve System. The interim final rule was published today in the Federal Register by the Office of the Comptroller of the Currency (OCC). The rule became effective September 19, 2008. The OCC seeks comments on all aspects of the interim rule.

SUMMARY

On September 19, 2008, the Board of Governors of the Federal Reserve established a special lending facility that enables depository institutions to borrow on a nonrecourse basis from the Federal Reserve Bank of Boston if the depository institution uses the loan proceeds to purchase high-quality ABCP from money market mutual funds. The interim final rule, which applies to ABCP purchased between September 19, 2008, and January 30, 2009, recognizes that the nonrecourse basis of the loan protects the bank from the credit and market risks of the purchased ABCP. Under the interim final rule, a bank may assign a zero percent risk weight to the ABCP purchased by the bank during the effective period of the rule.

FURTHER INFORMATION

You may direct questions or comments to Margot Schwadron, Senior Risk Expert, Capital Policy Division, at (202) 874-6022; Ronald Shimabukuro, Senior Counsel; or Hugh Carney, Attorney, Legislative and Regulatory Activities Division, at (202) 874-5090.